EconPapers    
Economics at your fingertips  
 

Systemic risk in financial institutions of BRICS: measurement and identification of firm-specific determinants

Shumaila Zeb () and Abdul Rashid ()
Additional contact information
Shumaila Zeb: Shaheed Zulfikar Ali Bhutto Institute of Science and Technology
Abdul Rashid: International Islamic University

Risk Management, 2019, vol. 21, issue 4, 243-264

Abstract: Abstract The aim of this paper is twofold. First, it measures the systemic risk contribution of banks, financial services, and insurance firms of each of BRICS member country for the period 2000–2015. Second, it empirically examines how firm-specific factors determine systemic risk in financial institutions of BRICS countries. To carry out the empirical analysis, the unbalanced firm-level data are used. To gauge the systemic risk of banks, financial services, and insurance firms, the Delta Conditional Value-at-Risk (∆CoVaR) methodology is applied. The panel regression approach is used to examine how firm-specific variables determine the level of systemic risk in different financial institutions of BRICS countries. The empirical findings suggest that the size of institution, the tier 1 ratio, the liquidity ratio, the operating profit margin ratio, and the market-to-book value ratio statistically significantly determine systemic risk in BRICS countries. The results are significant in devising financial regulations to decrease the influence of systemic risk factors in the respective economies.

Keywords: Systemic risk; Value-at-risk; Conditional value-at-risk; Quantile regression; Financial sector; BRICS (search for similar items in EconPapers)
JEL-codes: G01 G21 G28 (search for similar items in EconPapers)
Date: 2019
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://link.springer.com/10.1057/s41283-018-00048-2 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pal:risman:v:21:y:2019:i:4:d:10.1057_s41283-018-00048-2

Ordering information: This journal article can be ordered from
https://www.palgrave.com/gp/journal/41283

Access Statistics for this article

Risk Management is currently edited by Igor Loncarski

More articles in Risk Management from Palgrave Macmillan
Bibliographic data for series maintained by Sonal Shukla ().

 
Page updated 2020-01-08
Handle: RePEc:pal:risman:v:21:y:2019:i:4:d:10.1057_s41283-018-00048-2